Did you get any reply? I wish to do the same however MS's suggestions didn't work. I've got to get my daughter back to homework and off Messenger! Here is the reply I got from MS, incase it works for you.

The problem is there seems to be know way to block WEBmessenger. I've blocked the DNS and IP address range but now there are places like http://e-messenger.net and http://iloveim.com/ popping up all over the place.We would have to hive a full time person just to keep up with all the DNS / IP address blocks.